Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0080 |
| Annualized Std Dev | 0.2346 |
| Annualized Sharpe (Rf=0%) | 0.0340 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3266.0000 |
| NAs | 1.0000 |
| Minimum | -0.1113 |
| Quartile 1 | -0.0057 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1511 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.2349 |
| Kurtosis | 12.4432 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0153 |
| Downside Deviation (Rf=0%) | 0.0107 |
| Downside Deviation (0%) | 0.0107 |
| Maximum Drawdown | 0.6059 |
| Historical VaR (95%) | -0.0213 |
| Historical ES (95%) | -0.0369 |
| Modified VaR (95%) | -0.0214 |
| Modified ES (95%) | -0.0299 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2009-03-09 | 2021-02-11 | -0.6059 | 3206 | 202 | 3004 |
| 2021-02-17 | 2021-03-08 | NA | -0.0496 | 24 | 14 | NA |
| 2008-04-08 | 2008-04-14 | 2008-04-16 | -0.0298 | 7 | 5 | 2 |
| 2008-04-29 | 2008-04-29 | 2008-05-05 | -0.0174 | 5 | 1 | 4 |
| 2008-05-07 | 2008-05-07 | 2008-05-15 | -0.0158 | 7 | 1 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | 2.1 | -1.1 | 0.2 | -1.2 | -1.3 | -0.1 | -0.6 | 0.8 | -7.3 | 1.2 | -7.2 |
| 2009 | -1.3 | -0.4 | 2.9 | 1.1 | 2.7 | 1.6 | 1.2 | -2.2 | -3.1 | -3.5 | 2.9 | -0.4 | 1.1 |
| 2010 | 2 | 1.2 | 1.8 | -1.5 | -1.2 | 1 | 0.1 | 3.6 | 1 | -0.2 | 2.8 | 0.5 | 11.4 |
| 2011 | 2.4 | -1.4 | 1 | 0.5 | -2.2 | 1 | -0.7 | -0.6 | -3.4 | -3.4 | -0.3 | 0.5 | -6.4 |
| 2012 | 1.6 | 1.1 | 0.7 | 0.4 | -2.5 | 3.6 | -0.1 | 0.9 | 1 | 1.2 | 0 | 1.2 | 9.3 |
| 2013 | 1 | 0.1 | -1 | -0.7 | -2 | 0.7 | 1.4 | -0.6 | 0.8 | -0.5 | 0.3 | 0.5 | -0.2 |
| 2014 | -1.2 | 0.1 | 0.7 | 0 | -0.3 | 0.9 | -0.4 | 0 | -1.3 | 1.5 | -0.4 | -0.5 | -0.9 |
| 2015 | -1.6 | 0 | 0.8 | 0.8 | -0.4 | 0.6 | 0.6 | -3.4 | 0.3 | -0.2 | 1.1 | -0.9 | -2.2 |
| 2016 | -0.3 | 2.9 | -0.8 | -0.3 | 0 | 0.3 | -0.6 | 0.7 | 0.7 | -0.4 | -0.5 | 0 | 1.7 |
| 2017 | 0.4 | 1.3 | -0.4 | 0.4 | 1.1 | 0.2 | 0.5 | 0.4 | 0.7 | 0.3 | -0.2 | 0.1 | 4.8 |
| 2018 | 0 | -1.1 | 1 | -0.3 | 0.7 | 0.9 | -0.5 | -0.5 | 0.3 | 1.8 | -0.4 | 0.2 | 2.1 |
| 2019 | -0.2 | 0.5 | 1.3 | -0.6 | -0.5 | 0.7 | -0.9 | 0.5 | -0.8 | 1.1 | -0.8 | 0.4 | 0.7 |
| 2020 | -1.6 | -0.6 | -4.8 | -2.5 | 2.2 | 0.6 | -1.7 | 0.7 | 0.8 | -0.6 | 2 | -0.5 | -6.1 |
| 2021 | 1.7 | 2.3 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-03-31 50.3 SPY 132. 0.0035 -0.0204 -0.0358 -0.106 -0.0704 0.132 0.514 GLD 90.4 -0.016 0.0034
2 2008-04-01 51.4 SPY 137. 0.0352 0.0131 0.0208 -0.0726 -0.038 0.156 0.576 GLD 86.9 -0.0393 -0.0633
3 2008-04-02 51.9 SPY 137. 0.0007 0.0263 0.024 -0.065 -0.0384 0.159 0.613 GLD 89.3 0.0277 -0.0483
4 2008-04-03 52.3 SPY 137. 0.0025 0.0321 0.0305 -0.0544 -0.0463 0.167 0.593 GLD 89.4 0.0017 -0.0432
5 2008-04-04 52.4 SPY 137. -0.0011 0.0409 0.0229 -0.055 -0.0484 0.164 0.553 GLD 90.2 0.00930 -0.0177
6 2008-04-07 52.7 SPY 137. 0.0005 0.0378 0.045 -0.0308 -0.0505 0.159 0.562 GLD 91.2 0.0102 0.0084
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
